You want your visitors to stay on your site. You 'help' them do this by opening links to other sites in new windows. Everyone's a winner, right? Wrong.
Neil Turner of Webcredible goes through the reasons why you should avoid this technique, and just in case he doesn't win you over, highlights the most usable and accessible ways to do it, if you really, really must.
For me, it's the content, the usefulness and the reputation of the site that keeps me there and keeps me coming back. Cheap tricks like opening in new windows just irritate and confuse. When I'm ready to leave, I'm ready to leave - don't get in my way...
Beware of Opening Links in a New Window - article by Neil Turner
Neil also references an article by Jakob Nielsen whose research strengthens his argument. New browser windows is number 9 in his top 10.
Top Ten Mistakes in Web Design - article by Jakob Nielsen